strategy.js

var z = require('zero-fill')
  , n = require('numbro')
  , ema = require('../../../lib/ema')
  , rsi = require('../../../lib/rsi')
  , stddev = require('../../../lib/stddev')
  , Phenotypes = require('../../../lib/phenotype')

module.exports = {
  name: 'trend_ema',
  description:
    'Buy when (EMA - last(EMA) > 0) and sell when (EMA - last(EMA) < 0). Optional buy on low RSI.',

  getOptions: function () {
    this.option('period', 'period length, same as --period_length', String, '2m')
    this.option('period_length', 'period length, same as --period', String, '2m')
    this.option('min_periods', 'min. number of history periods', Number, 52)
    this.option('trend_ema', 'number of periods for trend EMA', Number, 26)
    this.option('neutral_rate', 'avoid trades if abs(trend_ema) under this float (0 to disable, "auto" for a variable filter)', Number, 'auto')
    this.option('oversold_rsi_periods', 'number of periods for oversold RSI', Number, 14)
    this.option('oversold_rsi', 'buy when RSI reaches this value', Number, 10)
  },

  calculate: function(s) {
    ema(s, 'trend_ema', s.options.trend_ema)
    if (s.options.oversold_rsi) {
      // sync RSI display with oversold RSI periods
      s.options.rsi_periods = s.options.oversold_rsi_periods
      rsi(s, 'oversold_rsi', s.options.oversold_rsi_periods)
      if (!s.in_preroll && s.period.oversold_rsi <= s.options.oversold_rsi && !s.oversold && !s.cancel_down) {
        s.oversold = true
        if (s.options.mode !== 'sim' || s.options.verbose) console.log(('\noversold at ' + s.period.oversold_rsi + ' RSI, preparing to buy\n').cyan)
      }
    }
    if (s.period.trend_ema && s.lookback[0] && s.lookback[0].trend_ema) {
      s.period.trend_ema_rate = (s.period.trend_ema - s.lookback[0].trend_ema) / s.lookback[0].trend_ema * 100
    }
    if (s.options.neutral_rate === 'auto') {
      stddev(s, 'trend_ema_stddev', Math.floor(s.options.trend_ema / 2), 'trend_ema_rate')
    } else {
      s.period.trend_ema_stddev = s.options.neutral_rate
    }
  },

  onPeriod: function (s, cb) {
    if (!s.in_preroll && typeof s.period.oversold_rsi === 'number') {
      if (s.oversold) {
        s.oversold = false
        s.trend = 'oversold'
        s.signal = 'buy'
        s.cancel_down = true
        return cb()
      }
    }
    if (typeof s.period.trend_ema_stddev === 'number') {
      if (s.period.trend_ema_rate > s.period.trend_ema_stddev) {
        if (s.trend !== 'up') {
          s.acted_on_trend = false
        }
        s.trend = 'up'
        s.signal = !s.acted_on_trend ? 'buy' : null
        s.cancel_down = false
      } else if (!s.cancel_down && s.period.trend_ema_rate < (s.period.trend_ema_stddev * -1)) {
        if (s.trend !== 'down') {
          s.acted_on_trend = false
        }
        s.trend = 'down'
        s.signal = !s.acted_on_trend ? 'sell' : null
      }
    }
    cb()
  },

  onReport: function(s) {
    var cols = []
    if (typeof s.period.trend_ema_stddev === 'number') {
      var color = 'grey'
      if (s.period.trend_ema_rate > s.period.trend_ema_stddev) {
        color = 'green'
      } else if (s.period.trend_ema_rate < s.period.trend_ema_stddev * -1) {
        color = 'red'
      }
      cols.push(z(8, n(s.period.trend_ema_rate).format('0.0000'), ' ')[color])
      if (s.period.trend_ema_stddev) {
        cols.push(z(8, n(s.period.trend_ema_stddev).format('0.0000'), ' ').grey)
      }
    } else {
      if (s.period.trend_ema_stddev) {
        cols.push('                  ')
      } else {
        cols.push('         ')
      }
    }
    return cols
  },

  phenotypes: {
    // -- common
    period_length: Phenotypes.RangePeriod(1, 120, 'm'),
    min_periods: Phenotypes.Range(1, 100),
    markdown_buy_pct: Phenotypes.RangeFloat(-1, 5),
    markup_sell_pct: Phenotypes.RangeFloat(-1, 5),
    order_type: Phenotypes.ListOption(['maker', 'taker']),
    sell_stop_pct: Phenotypes.Range0(1, 50),
    buy_stop_pct: Phenotypes.Range0(1, 50),
    profit_stop_enable_pct: Phenotypes.Range0(1, 20),
    profit_stop_pct: Phenotypes.Range(1,20),

    // -- strategy
    trend_ema: Phenotypes.Range(1, 40),
    oversold_rsi_periods: Phenotypes.Range(5, 50),
    oversold_rsi: Phenotypes.Range(20, 100)
  },
}